Relaxations of linear programming problems with first order stochastic dominance constraints

DOI10.1016/J.ORL.2005.10.004MaRDI QIDQ867928zbMATH OpenOpenAlexFDO

Authors Nilay Noyan, Gábor Rudolf, Andrzej Ruszczyński

Publication date 19 February 2007

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2005.10.004

zbMATH Keywords

stochastic dominancestochastic programmingvalid inequalitiesdisjunctive programming

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites work

• scientific article; zbMATH DE number 2138160 (Why is no real title available?)
• scientific article; zbMATH DE number 3339023 (Why is no real title available?)
• A lift-and-project cutting plane algorithm for mixed 0-1 programs
• Comparison methods for stochastic models and risks
• Disjunctive Programming
• Disjunctive programming: Properties of the convex hull of feasible points
• On a Test of Whether one of Two Random Variables is Stochastically Larger than the Other
• Optimization with Stochastic Dominance Constraints
• Ordered Families of Distributions
• Semi-infinite probabilistic optimization: first-order stochastic dominance constrain
• The Efficiency Analysis of Choices Involving Risk

Cited in

(21)

• Stochastic Programs with First-Order Dominance Constraints Induced by Mixed-Integer Linear Recourse
• Modeling stochastic dominance as infinite-dimensional constraint systems via the Strassen theorem
• Portfolio reshaping under 1st-order stochastic dominance constraints by the exact penalty function methods
• A note on second-order stochastic dominance constraints induced by mixed-integer linear recourse
• Multivariate winning probabilities
• Cut generation for optimization problems with multivariate risk constraints
• Optimization with a class of multivariate integral stochastic order constraints
• Valid inequalities and restrictions for stochastic programming problems with first order stochastic dominance constraints
• Almost stochastic dominance and stocks for the long run
• Stochastic dominance with imprecise information
• Eco-friendly container transshipment route scheduling problem with repacking operations
• Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements
• Distributionally robust second-order stochastic dominance constrained optimization with Wasserstein ball
• Risk management with stochastic dominance models in energy systems with dispersed generation
• Interval-based stochastic dominance: theoretical framework and application to portfolio choices
• Risk aversion for an electricity retailer with second-order stochastic dominance constraints
• Stability and Sensitivity of Optimization Problems with First Order Stochastic Dominance Constraints
• An algorithm for stochastic programs with first-order dominance constraints induced by linear recourse
• Lipschitzian properties and stability of a class of first-order stochastic dominance constraints
• Three algorithms for graph locally harmonious colouring
• Stochastically weighted stochastic dominance concepts with an application in capital budgeting

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